Comparison Theorem for Stochastic Differential Delay Equations with Jumps

Jianhai Bao, Chenggui Yuan

Published 2011-02-10Version 1

In this paper we establish a comparison theorem for stochastic differential delay equations with jumps. An example is constructed to demonstrate that the comparison theorem need not hold whenever the diffusion term contains a delay function although the jump-diffusion coefficient could contain a delay function. Moreover, another example is established to show that the comparison theorem is not necessary to be true provided that the jump-diffusion term is non-increasing with respect to the delay variable.